In a statement, Mr. Walker said he plans to continue working with the campaign AGs United for Clean Power, a Democrat-led coalition of 17 attorneys general pursuing fossil fuel companies and their supporters for possible climate change “fraud.”

He also said withdrawing his subpoena as part of a mutual agreement with Exxon filed Wednesday in federal court would clear the way for the “ongoing” Justice Department investigation, the details of which remain murky.

“This agreement will allow the Department of Justice to focus on its ongoing investigation, without the distraction of this procedural litigation,” Mr. Walker said in his statement.

Mr. Walker signaled his further retreat Thursday by pulling a subpoena of the free market Competitive Enterprise Institute in the Virgin Islands. Last month he withdrew a subpoena of CEI filed in the District of Columbia.

He cited the investigation by Massachusetts Attorney General Maura Healey, who issued a subpoena April 19 demanding climate-related communications between Exxon and a dozen universities, academics and free market think tanks.

Exxon is fighting to have the subpoena dismissed, calling it an unconstitutional infringement of the company’s free speech rights and saying it would chill legitimate debate and scientific inquiry.

“If Exxon’s lawsuit against the Massachusetts Attorney General fails, as I believe it must, there will be a clear path forward,” Mr. Walker said. “In the meantime, I intend to continue to work with our state partners to advance our common investigation, while preserving our limited resources to address the many other issues that face the Virgin Islands and its residents.”

Meanwhile, opponents of the coordinated climate change prosecutorial campaign cheered Mr. Walker’s decision as a victory for free speech and a defeat for the climate change movement.

Rep. Lamar Smith, chairman of the House Committee on Science, Space and Technology, described Mr. Walker’s retreat “confirms what my committee has known all along — these legal actions were conceived and driven by environmental groups with an extreme political agenda and no actual regard for the rule of law.”

“Companies, nonprofit organizations and scientists deserve the ability to pursue research free from intimidation and threat of prosecution,” Mr. Smith said in a Thursday statement.

Mr. Walker previously had withdrawn a subpoena against CEI, which is suing him for sanctions in D.C. Superior Court.

CEI President Kent Lassman said the Virgin Islands prosecutor’s decision to withdraw both subpoenas shows that they were “a baseless fishing expedition from the beginning.”

“All Americans have the right to support causes they believe in and the CEI subpoena is an abuse of the legal system and an effort to intimidate and silence individuals who disagree with certain attorneys general on the climate debate,” Mr. Lassman said in a statement. “Disagreeing with a government official is not a crime; abusing government power to take away Americans’ rights is.”

U.S. Attorney General Loretta E. Lynch has come under intense under pressure from Democrats and climate change groups to investigate Exxon and its supporters, but so far she has said only that she has referred the matter to the FBI.

“This matter has been discussed,” Ms. Lynch told the Senate Committee on the Judiciary in March. “We have received information about it and have referred it to the FBI to consider whether or not it meets the criteria for which we could take action on.”

Democrats have argued that Exxon “knew” about climate change and misled the public about its seriousness, while Exxon has said that the “risk of climate change is clear and the risk warrants action.”

“Unless we take action, according to some studies, Charlotte Amalie could be underwater by 2050,” Mr. Walker said. “I look forward to continuing our work in the Virgin Islands and with my colleagues across the country to address this important issue.”